Also required is ASP.NET 2.0, which is installed with the .NET Framework 2.0 components (available on Microsoft Update, or as a standalone installer. Apparently my .NET 2.0 was damaged, so I ran a repair install. After ensuring that ASP.NET was enabled in IIS, the Project Server installer now runs without complaint.

Project Server has an "all in one box" installation option. This installs and configures Sharepoint Services 3.0 and SQL 2005 Express Edition. It works surprisingly well!

Also note that the test server performing miserably. I have expanded the VM memory to 1Gb, and performed the following steps to expand the virtual drive: